This paper presents three definitions of time diversification and analyzes their implications for investment horizons. Using decision quality criteria and methodology, we question standard advice. In analyzing time diversification with a minimum of assumptions, we answer two main questions: how...

We demonstrate that fund investors employ a heuristic benchmark model to estimate alphas and allocate capital. This can result in observational equivalence to CAPM driven investment decisions. The benchmark estimator trades off bias against precision, accommodating finite sample constraints. The...

The purpose of this study is to present a tool to categorize companies as potentially profitable on the basis of an analysis of their intangibles. The paper distinguishes two crucial attributes for picking shares: intangibles and the capitalization of intangible-based growth potential in market...

Spanish Abstract: En el artículo se presentan dos estrategias de inversión a partir de un modelo CAPM Sectorial con el objetivo de comprobar si mediante su utilización es posible obtener rendimientos ajustados por riesgo superiores a los del mercado. Esta comprobación implica asimismo, por...

We study the effect of variation in correlation on investment decision in an experimental two asset application. Comparison of allocations across problems suggests that subjects neglect probabilistic information on the joint distribution of returns and base their allocations on the observed...

This paper identifies a clear tradeoff between tracking error — performance differences relative to a targeted asset allocation — and turnover—a proxy for rebalancing costs — that can help guide investors’ rebalancing choices. We find that calendar-based approaches, while convenient,...

Recent advances in behavioral genetics have enabled the discovery of genetic scores linked to a variety of economic outcomes, including education. We build on this progress to demonstrate that the same genetic variants that predict educational attainment independently predict household wealth in...

We study three fundamental components of financial agency settings: Perception and communication of investment profiles, the interaction of agents’ and clients’ preferences, and the role of (non-)monetary incentives. The perception of investment profile terminology is very heterogeneous,...

This paper studies consumption-portfolio decisions with recursive utility on a finite time horizon. We postulate essential properties that a bequest motive must satisfy. We show that the parameter which serves as weight of bequest in setups with time-additive utility is both quantitatively and...

We define two new stochastic orders combining probability ratio and likelihood ratio and specify two respective classes of payoff functions, which nest most models in the literature as special cases, such that a risk change satisfies one of the two stochastic orders if and only if given any...